Major Depressive Disorder (MDD) is a global and apparently growing public health problem, especially in developed countries. Considerable research supports that diet, physical activity, and sleep have an important role to play in the prevention and management of depression, but existing data on their combined contributions is rare and inconclusive, and whether healthy dietary, physical activity, and sleep habits could have significant added protective benefits remains unclear. Using a cross sectional design, this quantitative non-experimental study investigated the relationship as well as the unique and combined association of adherence to the Mediterranean diet, physical activity, and sleep quality with depressive symptoms severity whilst controlling for each other and potential confounders. The sample consisted of 108 Greek and English-speaking healthy volunteers, aged 20 to 64 years, from the Republic of Cyprus. Anonymous data was collected by means of an internet-based survey and analyzed using bivariate and partial correlations and hierarchical multivariable linear regression. The survey included previously validated and reliable self-report measures for the independent study variables of adherence to the Mediterranean diet (MedDietScore), physical activity (IPAQ), sleep quality (mPSQI), and the outcome variable, depressive symptoms severity (CES-D). Data on potential confounders, including sociodemographic, anthropometric, and other lifestyle-related factors, was also collected. Results indicated significant correlations for sleep quality (r = .467, p < .001; rs = .459, p < .001) and adherence to the Mediterranean diet (r = -.306, p = .001; rs = -.284, p = .003), and no significant correlation for vigorous physical activity (rs = -.151, p = .119), with depressive symptoms severity. After controlling for the other two lifestyle factors and potential covariates, sleep quality and vigorous physical activity correlated significantly with depressive symptoms severity [rs(100) = .447, p < .001; rs(100) = -.262, p = .008, respectively]; the partial correlation of adherence to the Mediterranean diet with depressive symptoms severity approached statistical significance [rs(100) = -.175, p = .078]. A 4-stage hierarchical regression analysis showed that sleep quality (beta = .414, p < .001), vigorous physical activity (beta = -.212, p = .008), and adherence to the Mediterranean diet (beta = -.193, p = .021) were significant unique predictors of depressive symptoms severity, after controlling for each other and the influence of age, sex, total formal education, perceived social support, body mass index, marital status, smoking status, and income satisfaction. Together, they explained a significant amount of the variance in depressive symptoms severity (25.3%), which was larger than that which was explained by sleep quality and physical activity as a set (22.3%), and each of the three predictors alone (17.2%, 5.1% and 3%, for sleep quality, vigorous physical activity, and adherence to the Mediterranean diet, respectively). Social support (beta = -.426, p < .001) also was a significant predictor of depressive symptoms severity. These findings may be interpreted as evidence that healthy dietary, physical activity, and sleep habits along with increased social support and connectedness could have important added contributions to lower depressive symptomatology and risk of depression, and may inform public health initiatives and interventions for depression prevention. Longitudinal studies and randomized controlled trials are needed to verify whether the aforementioned lifestyle factors have additive protective and/or alleviating effects.